GOLD Options History — February 2020 In February 2020, GOLD traded between $9.02 and $10.99. ATM implied volatility averaged 32.8%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 5.2% (HV 20d: 27.5%). Max pain ranged from $9.00 to $9.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.46.
Notable Days 2020-02-18 : Highest Volume — 179,542 contracts2020-02-28 : Largest IV spike — 21.9% change2020-02-28 : Highest IV Rank — 100.0%2020-02-28 : Largest Expected Move — 15.2%Monthly Statistics Metric Avg Min Max Open Close Price $9.79 $9.02 $10.99 $9.18 $9.42 Max Pain $9.00 $9.00 $9.00 $9.00 $9.00 ATM IV 32.8% 27.0% 49.6% 31.3% 49.6% Expected Move 9.6% 8.0% 15.2% 9.1% 15.2% HV 20d 27.5% 20.5% 45.0% 23.2% 45.0% HV 60d 24.2% 21.4% 31.7% 22.5% 31.7% IV Rank 38.7% 9.4% 100.0% 32.4% 100.0% IV Percentile 55.1% 6.0% 100.0% 53.6% 100.0% Term Structure -0.1% -2.1% 1.5% -0.5% -2.1% VWIV 34.1% 28.5% 54.6% 32.2% 54.6% Skew 25d -0.8% -2.1% -0.1% -0.6% -0.8% Skew 10d -2.3% -5.1% -0.3% -0.3% -2.2% Call IV 25d 34.2% 28.6% 52.4% 31.9% 52.4% Put IV 25d 33.3% 27.9% 51.6% 31.3% 51.6% Bid-Ask Spread % 2.69 1.59 7.87 3.20 7.87 Gamma HHI 0.15 0.09 0.25 0.16 0.09 Net GEX 4.8M 1.0M 7.8M 3.3M 1.0M Net DEX -244.3M -466.4M -84.4M -148.1M -84.4M Net VEX -1.9M -2.3M -1.7M -1.8M -2.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.46 0.18 1.02 1.02 0.77 Total Volume 94,898.526 22,288 179,542 35,094 154,918 Total OI 1,292,025.789 1,204,062 1,429,812 1,204,062 1,367,946
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-02-03 $9.18 $9.00 31.3% 9.1% 23.2% 32.4% 32.2% -0.6% -0.5% 3.3M -148.1M -1.8M 1.02 3.20 N/A N/A 17,350 17,744 619,518 584,544 2020-02-04 $9.03 $9.00 30.7% 9.1% 23.8% 29.0% 32.1% -0.8% -0.3% 2.5M -114.0M -1.8M 0.31 2.50 N/A N/A 31,554 9,910 626,012 590,006 2020-02-05 $9.02 $9.00 30.4% 9.2% 23.8% 27.4% 32.9% -1.2% 0.0% 2.9M -116.4M -1.8M 0.48 2.36 N/A N/A 15,050 7,238 638,962 590,936 2020-02-06 $9.20 $9.00 30.4% 8.6% 21.6% 27.5% 30.9% -0.6% -0.5% 4.5M -160.5M -1.8M 0.65 1.59 N/A N/A 24,370 15,810 640,806 592,682 2020-02-07 $9.12 $9.00 30.2% 8.6% 21.5% 26.7% 30.8% -1.3% -0.1% 2.9M -138.2M -1.8M 0.20 1.76 N/A N/A 43,822 8,760 645,300 603,458 2020-02-10 $9.23 $9.00 30.5% 8.8% 21.6% 28.1% 31.1% -0.8% 0.4% 4.0M -171.6M -1.8M 0.39 1.81 N/A N/A 38,672 14,964 642,518 597,680 2020-02-11 $9.23 $9.00 30.0% 8.8% 20.5% 25.5% 31.0% -0.8% 0.6% 4.6M -176.2M -1.8M 0.59 2.53 N/A N/A 31,070 18,290 657,232 603,212 2020-02-12 $9.20 $9.00 27.0% 8.1% 20.7% 9.4% 28.6% -0.7% 1.5% 5.9M -164.2M -1.8M 0.47 1.98 N/A N/A 39,640 18,796 670,828 610,090 2020-02-13 $9.45 $9.00 28.3% 8.2% 21.6% 16.5% 29.1% -0.9% 0.7% 7.8M -230.1M -1.8M 0.67 2.08 N/A N/A 68,588 45,862 668,552 618,466 2020-02-14 $9.85 $9.00 28.0% 8.0% 25.4% 15.1% 28.5% -0.2% 0.1% 6.9M -334.4M -1.7M 0.24 2.19 N/A N/A 121,298 28,890 673,350 637,644 2020-02-18 $10.29 $9.00 30.6% 8.8% 28.9% 28.7% 30.9% -0.3% -0.6% 5.8M -385.4M -1.7M 0.29 1.89 N/A N/A 139,316 40,226 654,800 640,342 2020-02-19 $10.47 $9.00 29.4% 8.4% 28.8% 22.4% 29.8% -0.8% 0.1% 7.1M -430.3M -1.7M 0.33 2.08 N/A N/A 113,184 37,608 695,744 640,300 2020-02-20 $10.38 $9.00 30.1% 8.6% 29.3% 25.9% 30.5% -0.7% 0.2% 7.2M -409.9M -1.8M 0.77 2.23 N/A N/A 85,926 66,322 715,982 648,198 2020-02-21 $10.72 $9.00 32.6% 9.3% 30.7% 39.1% 33.4% -0.5% -0.2% 6.5M -466.4M -2.0M 0.33 2.23 N/A N/A 102,210 33,528 741,342 688,470 2020-02-24 $10.99 $9.00 37.5% 10.8% 31.2% 65.1% 38.7% -0.8% -0.8% 5.7M -391.6M -2.0M 0.18 3.24 N/A N/A 147,916 26,906 662,596 645,462 2020-02-25 $10.68 $9.00 38.5% 11.1% 33.6% 70.8% 40.0% -0.1% -0.3% 5.8M -329.3M -2.1M 0.41 2.72 N/A N/A 54,282 22,330 696,244 648,416 2020-02-26 $10.59 $9.00 37.3% 10.8% 31.1% 64.1% 39.1% -2.1% 0.8% 3.8M -221.2M -2.0M 0.20 3.59 N/A N/A 58,188 11,454 591,544 644,636 2020-02-27 $9.90 $9.00 40.7% 12.2% 40.8% 82.2% 44.3% -1.5% -0.9% 2.8M -169.9M -2.2M 0.36 3.35 N/A N/A 67,210 23,870 705,586 649,086 2020-02-28 $9.42 $9.00 49.6% 15.2% 45.0% 100.0% 54.6% -0.8% -2.1% 1.0M -84.4M -2.3M 0.77 7.87 N/A N/A 87,376 67,542 715,446 652,500
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